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Improved Empirical Bayes Ridge Regression Estimators under Multicollinearity
http://hdl.handle.net/2261/2466
http://hdl.handle.net/2261/24667614993b-7051-4451-b426-b758623d5d54
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-17 | |||||
タイトル | ||||||
タイトル | Improved Empirical Bayes Ridge Regression Estimators under Multicollinearity | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Multiple regression | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | multicollinearity | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | ridge regression | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | ernpirical Bayes method | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | principal component method | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Kubokawa, Tatsuya
× Kubokawa, Tatsuya× M., S. Srivastava |
|||||
著者所属 | ||||||
著者所属 | University of Tokyo | |||||
著者所属 | ||||||
著者所属 | University of Toronto | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | In this paper we consider the problem of estimating the regression parameters in a multiple linear regression model when the multicollinearity is present.Under the assumption of normality, we present three empirical Bayes estimators. One of them shrinks the least squares (LS) estimator towards the principal component. The second one is a hierarchical empirical Bayes estimator shrinking the LS estimator twice.The third one is obtained by choosing di erent priors for the two sets of regression parameters that arise in the case of multicollinearity;this estimator is termed decomposed empirical Bayes estimator. These proposed estimators are not only proved to be uniformly better than the LS estimator, that is,minimax in terms of risk under the Strawderman's loss function,but also shown to be useful in the multicollinearity cases through simulation and empirical studies. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 2003-CF-190, 発行日 2003-01 |
|||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 330 | |||||
主題Scheme | NDC | |||||
Mathmatical Subject Classification | ||||||
62J05 | ||||||
Mathmatical Subject Classification | ||||||
62J07 | ||||||
Mathmatical Subject Classification | ||||||
62F10 | ||||||
Mathmatical Subject Classification | ||||||
62C12 | ||||||
Mathmatical Subject Classification | ||||||
62C20 | ||||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2003/2003cf190ab.html | |||||
異版あり | ||||||
関連タイプ | hasVersion | |||||
識別子タイプ | URI | |||||
関連識別子 | http://dx.doi.org/10.1081/STA-120037452 |